000			01305nam a2200217 4500
999			_c50455 _d50455
003			OSt
005			20181119175311.0
008			181119b ||||| |||| 00| 0 eng d
100			_aSayeed, Mohammad Abu _932481
245			_aHigh-frequency Characterisation of Indian Banking Stocks
300			_a213S–238S
520			_aUsing high-frequency stock returns in the Indian banking sector, we find that the beta on jump movements substantially exceeds that on the continuous component, and that the majority of the information content for returns lies with the jump beta. We contribute to the debate on strategies to decrease systemic risk, showing that increased bank capital and reduced leverage reduce both jump and continuous beta with slightly stronger effects for capital on continuous beta and stronger effects for leverage on jump beta. However, changes in these firm characteristics need to be large to create an economically meaningful change in beta.
653			_aCAPM
653			_ajump
653			_ahigh frequency
653			_aIndia
700			_a Dungey, Mardi _932482
700			_aYao, Wenying _932483
773	0		_029445 _972769 _aGANGOPADHYAY, SHUBHASIS _dNEW DELHI SAGE PUBLICATION PVT. LTD. _o5559444 _tJOURNAL OF EMERGING MARKET FINANCE _x0972-6527
942			_2ddc _cJA-ARTICLE